As part of the Montessori Degree that I'm doing, we had to make treasure baskets that are typically used with babies from 4 month until they become mobile. Treasure baskets are not a piece of original Montessori materials, but were first made by Eleanor Goldschmied who spoke about them in her book 'People under 3'. A good treasure basket should contain about 100 everyday objects for the child to explore. Objects should be natural and not made from plastic. A large basket should contain objects to develop each sense. Alternatively you can make smaller baskets, one for each sense. Below are some pictures of the basket and the objects I gathered.
I made these smell bags. The green one contains mint tea bags, the purple one contains lavender, the brown one contains clove and the rose patterned one contains rose petal. To keep the smell i store them in zip-lock bags and only take them out when a baby is using the treasure basket.
This is a teething ring that a friend made for my treasure basket. She used scraps of fabric and a wooden curtain ring. There is a tutorial for it here.
I found many of the things in charity shops and around the house. Interestingly the baby's favourite object was a wooden paint brush.